$q_x$-Bass Martingales: Optimality, Existence and Convergence

Source abstract

We introduce the class of $q_x$-Bass martingales, extending the notion of $q$-Bass martingales. These are martingale couplings with prescribed marginals whose transition kernels are closest to a given family of reference kernels $(q_x)_{x \in \mathbb R^d}$ in the sense of a suitable weak optimal transport problem. We show that $q_x$-Bass martingales are optimizers of this problem and establish a strong duality result. Building on this duality, we introduce an algorithm for their computation and, under compactness assumptions on the prescribed marginals, prove its convergence, thereby establishing existence. We then specialize to one-dimensional marginals and show that the algorithm reduces to a fixed-point iteration.